David Letterman told his audience Thursday that he is the victim of an alleged extortion attempt and admitted to having sexual relations with several members of his staff, according to a press release from his production company.

Letterman made the announcement during taping of the "Late Show."

"This morning, I did something I've never done in my life," Letterman told his audience, according to a release from Worldwide Pants Inc. "I had to go downtown and testify before a grand jury."

The 62-year-old funnyman said he received a package three weeks ago from a person who claimed to have information about Letterman's sexual dalliances, ultimately demanding $2 million to prevent public revelation.

Letterman said he went to the Manhattan District Attorney's office, which conducted an investigation, and an arrest was made earlier Thursday.